If you need to measure temperatures below zero degrees Centigrade, you need a negative supply too, and if your cable length is more than 2-4 meters you also need to apply a RC filter near the sensor.
Take a look at National Semiconductor's data sheet. The data sheet have a lot of application notes too.
Google for 'LM35 datasheet'
A cheap alternative for the LM35 is the LM19, which does not need a negative supply, but instead a little bit of a converting formula entered in the PicoLog program.